Exchange Rate-Linked: Pricing Analysis of Structured Deposits Based on Fractional Brownian motion

摘要

The pricing problem of structured deposits of exchange rate-linked has been discussed under Fractional Brownian motion. The pricing model is established and the pricing formula is obtained. In the end the formula is applied to an example and the valuation of product and the sensitivity are also analyzed. The result shows that the product in the example is issued at a discount, and its extent reduces with the approach of maturity. The initial value has a positive relationship with the volatility, initial exchange rate, interest rates and yield. While it is the inverse function of Hurst exponent and barrier point.